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fftvanillaengine.hpp File Reference

FFT engine for vanilla options under a Black Scholes process. More...

#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
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Classes

class  QuantLib::FFTVanillaEngine
 FFT Pricing engine vanilla options under a Black Scholes process. More...

Namespaces

namespace  QuantLib

Detailed Description

FFT engine for vanilla options under a Black Scholes process.

Definition in file fftvanillaengine.hpp.


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